Abstract
We study the fluctuations of the power variation of fractional Brownian motion in Brownian time.
Citation
Raghid Zeineddine. "Fluctuations of the power variation of fractional Brownian motion in Brownian time." Bernoulli 21 (2) 760 - 780, May 2015. https://doi.org/10.3150/13-BEJ586
Information
Published: May 2015
First available in Project Euclid: 21 April 2015
zbMATH: 1325.60056
MathSciNet: MR3338646
Digital Object Identifier: 10.3150/13-BEJ586
Keywords:
fractional Brownian motion
,
Fractional Brownian motion in Brownian time
,
Hermite polynomials
,
iterated Brownian motion
,
limit theorem
Rights: Copyright © 2015 Bernoulli Society for Mathematical Statistics and Probability
